When me & my Dad shoot we always hear our neighbors start shooting too, we live in the country, target shooting is common here in Texas. Gunfire has never scared me beyond the initial startle of the gun firing, but I can see how being in an unfamiliar setting it would be "unnerving". While you being in the city was not a normal setting for gunfire to you someone living in a city where they hear gunfire often may not be as scared as if they were in the woods in Texas when they hear gunfire coming from properties all around them. Perspective is a a powerful thing.